MRCI's ScenarioSM Study

ScenarioSM Study for August Live Cattle(CME) as of Oct 20, 2019
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		43	44	44	44	44	44	45	45	45	45	45
Closed Higher		22	24	27	29	22	24	22	25	19	22	24
Exceeded High		20	19	26	27	19	20	19	19	15	20	18
Scenario Percentage		91%	79%	96%	93%	86%	83%	86%	76%	79%	91%	75%
Avg Max Increase		3.11%	3.72%	3.53%	3.59%	4.09%	6.00%	8.05%	6.24%	7.09%	5.91%	4.13%
Max Increase		6.97%	8.71%	9.85%	10.85%	14.13%	17.33%	22.50%	20.21%	15.62%	21.50%	8.15%
Avg Days To Max Increase		18	15	16	16	18	19	19	14	20	16	15
Avg Max Decline		-1.46%	-0.81%	-1.49%	-0.99%	-1.27%	-1.51%	-1.58%	-1.88%	-2.01%	-2.17%	-1.04%
Max Decline		-6.31%	-3.36%	-4.06%	-4.32%	-3.95%	-6.96%	-4.08%	-6.15%	-5.01%	-5.02%	-3.43%
Avg Days to Max Decline		9	7	7	9	9	8	7	9	13	12	3
2019 Contract Condition		Yes			Yes		Yes				Yes	Yes
Action		Yes			Yes		Yes				Yes	Not Yet

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		43	44	44	44	44	44	45	45	45	45	45
Closed Lower		19	20	17	14	22	20	22	20	25	23	20
Penetrated Low		16	14	13	8	17	14	19	14	18	19	10
Scenario Percentage		84%	70%	76%	57%	77%	70%	86%	70%	72%	83%	50%
Avg Max Decline		4.39%	4.94%	5.64%	5.97%	5.12%	6.74%	5.63%	5.85%	5.73%	6.23%	3.55%
Max Decline		17.36%	16.33%	17.02%	14.82%	12.84%	14.09%	12.97%	11.52%	19.32%	16.00%	7.32%
Avg Days To Max Decline		14	14	17	19	19	20	18	17	19	13	11
Avg Max Increase		-1.35%	-0.73%	-1.06%	-1.86%	-1.36%	-0.61%	-1.58%	-1.67%	-1.58%	-1.65%	-1.42%
Max Increase		-8.77%	-2.07%	-3.29%	-3.40%	-3.97%	-2.00%	-5.21%	-7.34%	-3.97%	-4.35%	-7.13%
Avg Days to Max Increase		5	4	7	11	7	6	9	8	6	7	3
2019 Contract Condition			Yes	Yes		Yes		Yes	Yes	Yes
Action			Yes	Yes		No		Yes	Yes	Yes
High	112.730	114.730	115.300	114.300	114.250	114.885	116.230	121.150	119.950	112.000	107.180	109.600
Low	108.100	109.480	112.085	110.850	110.835	112.480	112.480	114.500	111.680	102.300	101.980	103.750
Close/Last	109.930	114.480	113.530	111.585	114.180	112.585	115.900	115.680	111.780	103.085	104.350	106.900